Return-difference and spectral factorisation relationship for the discrete-time Kalman filter (Q1057024)
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scientific article; zbMATH DE number 3896150
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Return-difference and spectral factorisation relationship for the discrete-time Kalman filter |
scientific article; zbMATH DE number 3896150 |
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Return-difference and spectral factorisation relationship for the discrete-time Kalman filter (English)
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1985
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In this paper a number of covariance factorisation/return difference results are derived for optimal discrete-time time-varying filtering problems. The results presented are interesting extensions of similar results known to hold in the time-invariant systems case. Using these results a time-varying polynomial operator approach is proposed for calculating the Kalman gain matrix for a time-varying ARMA model. The methods and results of this paper are of potential interest for both control and estimation applications.
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Kalman filter
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spectral factorization
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non-stationary systems
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covariance factorisation
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return difference results
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optimal discrete-time time- varying filtering
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time-varying polynomial operator approach
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Kalman gain matrix
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time-varying ARMA model
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0.86265016
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0.8588544
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0.8559187
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0.8474114
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0.8472456
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